Luning JIA

Date of Award


Degree Type


Degree Name

Master of Philosophy (MPHIL)



First Advisor

Prof. RAN Jimmy

Second Advisor

Prof. WHITTEN Gregory William


This thesis investigates effects of exchange rate exposure upon stock returns of a large sample of Chinese firms when they are divided into SOEs and non-SOEs. I obtain the exposure estimates first and examine their determinants. By extending the current literature, I introduce the ownership structure into the framework and I compare different ownership impacts on the exposure before and after the Reform. My study shows that a SOE or non-SOE firm makes no difference in facing the exchange rate exposure before the Reform. If a firm is a SOE, the firm faces smaller exposure after the Reform. I further explore the asymmetric exposure from currency depreciation and appreciation in relation to ownership structure. I find that non-SOEs face higher exposure from appreciation than from depreciation before the Reform. But both SOEs and non-SOEs face lower exposure from appreciation than from depreciation after the Reform.

Recommended Citation

Jia, L. (2016). Ownership structure impact on exchange rate exposure under the RMB regime reform (Master's thesis, Lingnan University, Hong Kong). Retrieved from

Included in

Economics Commons